A periodic dividend problem with inconstant barrier in Markovian environment

DOI10.1007/S10114-015-4228-2zbMath1319.60183OpenAlexW2003029482MaRDI QIDQ2355462

Fang Jin, Hui Ou, Xiang-Qun Yang

Publication date: 23 July 2015

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-015-4228-2

zbMATH Keywords

contraction mapping principleruin timeMarkovian environmentdiscounted dividendsinconstant barrierperiodic dividend problem

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Processes in random environments (60K37)

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Cites Work

• Compound binomial risk model in a Markovian environment
• A risk model with paying dividends and random environment
• The compound binomial model with a constant dividend barrier and periodically paid dividends
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized observation periods for the compound Poisson risk model: Dividends
• Risk theory in a Markovian environment
• Ruin Probabilities in the Compound Markov Binomial Model
• Ruin Probabilities of a Dual Markov-Modulated Risk Model

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